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題名:Valuation of Reverse Mortgages Using Stochastic Programming Models
書刊名:財務金融學刊
作者:何曉緯 引用關係劉明郎曾郁婷
作者(外文):Ho, Hsiao-weiLiu, Ming-longTseng, Yu-ting
出版日期:2019
卷期:27:4
頁次:頁61-88
主題關鍵詞:逆向抵押貸款住宅逆向房貸動態規劃模型Reverse mortgageHome equity conversion mortgageStochastic programming model
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:1
  • 點閱點閱:5
期刊論文
1.Mayer, Christopher J.、Simons, Katerina V.(1994)。Reverse Mortgages and the Liquidity of Housing Wealth。Journal of American Real Estate Urban Economics Association,22(2),235-255。  new window
2.Hancock, Ruth(1998)。Can Housing Wealth Alleviate Poverty among Britain's Older Population?。Fiscal Studies,19(3),249-272。  new window
3.Lee, Ronald D.、Miller, Timothy(2001)。Evaluating the performance of the Lee-Carter method for forecasting mortality。Demography,38,537-549。  new window
4.Ong, Rachel(2008)。Unlocking Housing Equity Through Reverse Mortgages: The Case of Elderly Homeowners in Australia。European Journal of Housing Policy,8(1),61-79。  new window
5.Lee, Ronald D.(2000)。The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications。North American Actuarial Journal,4(1),80-93。  new window
6.林士貴、蔡怡純、陳明吉、莊明哲(20120900)。The Valuation of Mortgage Insurance Contracts under Housing Price Cycles: Evidence from Housing Price Index。財務金融學刊,20(3),49-70。new window  延伸查詢new window
7.Lien, Chun-Hung、Liao, Szu-Lang、Lee, Cheng-Feng(2005)。Empirical Comparison of Interest Rate Models: The Case of Taiwan Commercial Paper Rate。Management Review,24,29-53。  new window
8.Dothan, L. Uri(1978)。On the term structure of interest rates。Journal of Financial Economics,6(1),59-69。  new window
9.Chan, Kalok C.、Karolyi, George Andrew、Longstaff, Francis A.、Sanders, Anthony B.(1992)。An Empirical Comparison of Alternative Models of the Short-term Interest Rate。Journal of Finance,47(3),1209-1227。  new window
10.Brennan, Michael J.、Schwartz, Eduardo S.(1980)。Analyzing Convertible Bonds。Journal of Financial and Quantitative Analysis,15(4),907-929。  new window
11.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4,141-183。  new window
12.Chen, Hua、Cox, Samuel H.、Wang, Shaun S.(2010)。Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher Transform。Insurance: Mathematics and Economics,46(2),371-384。  new window
13.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。A Theory of the Term Structure of Interest Rates。Econometrica,53(2),385-407。  new window
14.Li, Johnny Siu‐Hang、Hardy, Maiy R.、Tan, Ken Seng(2010)。On Pricing and Hedging the No-Negative-Equity Guarantee in Equity Release Mechanisms。The Journal of Risk and Insurance,77(2),499-522。  new window
15.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
16.Cox, John C.、Ingersoll, Jonathan E.、Ross, Stephen A.(1980)。An analysis of variable rate loan contracts。Journal of Finance,35,389-403。  new window
17.Lee, Tung-Hao、Liao, Chih-Feng(2011)。The development and literature survey on property derivatives: The growing challenge for Taiwan housing index derivatives。Journal of Housing Study,20,85-108。  new window
18.Phillips, William A.、Gwin, Stephen B.(1992)。Reverse mortgages。Transactions of Society of Actuaries,44,289-323。  new window
19.Wang, Jennifer L.、Hsieh, Ming-Hua、Chiu, Yu-Fen(2011)。Using reverse mortgages to hedge longevity and financial risks for life insurers: A generalized immunization approach。Geneva Papers on Risk and Insurance - Issues and Practice,36,697-717。  new window
20.葉玫惠、李存修(20141200)。Monitoring the Risk of Mortgage Loans Dynamically with Survival Analysis。財務金融學刊,22(4),55-76。new window  延伸查詢new window
21.Lee, Ronald D.、Carter, Lawrence R.(1992)。Modeling and Forecasting U.S. Mortality。Journal of the American Statistical Association,87(419),659-671。  new window
圖書
1.Capiński, Marek、Zastawniak, Tomasz(2011)。Mathematics for Finance: An Introduction to Financial Engineering。London:Springer-Verlag。  new window
 
 
 
 
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